Trend-Following Backtester · Guide · backtest 한국어
etf · BR
BTG Pactual Renda Urbana Fundo de Investimento Imobiliario Responsabilidade Limitada backtest
10 trend-following strategies were compared on the full daily history of BTG Pactual Renda Urbana Fundo de Investimento Imobiliario Responsabilidade Limitada. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 0.5%, drawdown -31.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.1%, MDD -2.0%, Sharpe 0.11, 1% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=42, threshold=33 |
0.1% | -2.0% | 0.11 | 0.07 | 1.0x | 6 | 1% |
| ROC 모멘텀 n=16, threshold=-0.06 |
-0.7% | -32.3% | 0.06 | -0.02 | 1.0x | 15 | 94% |
| Donchian 채널 돌파 entryN=94, exitN=40 |
-0.2% | -14.9% | 0.04 | -0.01 | 1.0x | 2 | 45% |
| Supertrend period=14, mult=4.7 |
-0.7% | -20.9% | 0.03 | -0.03 | 1.0x | 12 | 42% |
| SMA 크로스오버 fast=28, slow=110 |
-0.4% | -19.9% | 0.03 | -0.02 | 1.0x | 6 | 64% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-1.8% | -29.5% | -0.04 | -0.06 | 0.9x | 31 | 63% |
| EMA 크로스오버 fast=22, slow=217 |
-1.6% | -24.7% | -0.07 | -0.06 | 0.9x | 8 | 53% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=23, mult=2.8 |
-3.4% | -17.9% | -0.41 | -0.19 | 0.8x | 4 | 3% |
| 볼린저 밴드 돌파 n=52, k=3.1 |
-3.7% | -20.5% | -0.82 | -0.18 | 0.8x | 8 | 9% |
| MACD fast=15, slow=36, signal=24 |
-10.6% | -51.4% | -1.06 | -0.21 | 0.5x | 53 | 44% |
| Buy and hold | 0.5% | -31.7% | 0.14 | 0.01 | 1.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 42-day) is ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)